Invested Capital per entryname or signal?

fatgecko · Postby **fatgecko** » 22 Nov 2021

The built-in Portfolio_InvestedCapital variable is great for determining how much equity is currently held in open positions. Is there a way of obtaining a similar value for each entryname or each Signal in a multi-signal Portfolio Trader set up?

Use case: I only want to enter a new position in response to an entry signal if the currently open positions under that signal don't exceed a certain % of my overall portfolio.

Kate MultiCharts · Postby **Kate MultiCharts** » 24 Nov 2021

Hello fatgecko,

You can calculate Portfolio_InvestedCapital for each separate instrument.
Portfolio_InvestedCapital = entryprice(0) * bigpointvalue * currentcontracts
Here's an example:

Code: Select all

Print( " symbolname ", symbolname, " entryprice(0) ", entryprice(0), "  bigpointvalue ", bigpointvalue, " currentcontracts ", currentcontracts, " Portfolio_GetMaxPotentialLossPerContract 
 ", Portfolio_GetMaxPotentialLossPerContract 
);

Print(" symbolname ", symbolname, " Portfolio_InvestedCapital by symbol = ", entryprice(0) * bigpointvalue * currentcontracts);

fatgecko · Postby **fatgecko** » 24 Nov 2021

Thanks Kate. That provides invested capital per instrument, but I need invested capital per signal and/or entryname - is there any way that can be done?

Kate MultiCharts · Postby **Kate MultiCharts** » 26 Nov 2021

fatgecko,

Try checking PosTradeEntryPrice, PosTradeSize, PosTradeCount.

Here's an example of how you can get invested capital per signal/entryname:

Code: Select all

once cleardebug;

if (currentbar = 100) then
	buy ("St Name1") 1 contract next bar at market;
if (currentbar = 110) then
	buy ("St Name2") 2 contract next bar at market;
if (currentbar = 120) then
	buy ("St Name3") 3 contract next bar at market;
if (currentbar = 130) then
	buy ("St Name4") 4 contract next bar at market;
if (currentbar = 140) then
	buy ("St Name5") 5 contract next bar at market;

	

print (" -------------------------------------------------------------------------------------- ");
print (" currentbar ", currentbar, " symbolname '", symbolname, "' "  );
print (" marketposition buy = ", marketposition, " Portfolio_InvestedCapital for all = ", Portfolio_InvestedCapital );
print (" ");

if mod(currentbar, 200) = 0 then
begin
	sell ("Bar22") next bar at market;
end;

Print (" symbolname = ", symbolname, " entryprice(0) = ", entryprice(0), " bigpointvalue = ", bigpointvalue, " currentcontracts = ", currentcontracts, " Portfolio_GetMaxPotentialLossPerContract = ", Portfolio_GetMaxPotentialLossPerContract );
print (" ");
Print (" Portfolio_InvestedCapital by symbol '", symbolname, "' = " , entryprice(0) * bigpointvalue * currentcontracts);

var: ii(0);

for ii = 0 to PosTradeCount(0) - 1
begin
	print(" ");
	print(" invested capital for Entry Name = '", PosTradeEntryName(0, ii), "' ");
	Print(" Entry Price = ", PosTradeEntryPrice(0, ii), " CurrentContracts = ", PosTradeSize(0, ii), " BigPointValue = ", bigpointvalue);
	Print(" invested capital for Entry Name = ", PosTradeEntryPrice(0, ii) * PosTradeSize(0, ii) * bigpointvalue);
end;
print ("  ");

As a result, you'll get invested capital for each Entry Name.

Code: Select all

-------------------------------------------------------------------------------------- 
 currentbar  184.00 symbolname 'AUD/CAD' 
 marketposition buy =    1.00 Portfolio_InvestedCapital for all = 2700.53
 
 symbolname = AUD/CAD entryprice(0) =    0.91 bigpointvalue = 1000.00 currentcontracts =   15.00 Portfolio_GetMaxPotentialLossPerContract =   -5.00
 
 Portfolio_InvestedCapital by symbol 'AUD/CAD' = 13670.40
 
 invested capital for Entry Name = 'St Name1' 
 Entry Price =    0.91 CurrentContracts =    1.00 BigPointValue = 1000.00
 invested capital for Entry Name =  911.36
 
 invested capital for Entry Name = 'St Name2' 
 Entry Price =    0.91 CurrentContracts =    2.00 BigPointValue = 1000.00
 invested capital for Entry Name = 1822.52
 
 invested capital for Entry Name = 'St Name3' 
 Entry Price =    0.91 CurrentContracts =    3.00 BigPointValue = 1000.00
 invested capital for Entry Name = 2733.45
 
 invested capital for Entry Name = 'St Name4' 
 Entry Price =    0.91 CurrentContracts =    4.00 BigPointValue = 1000.00
 invested capital for Entry Name = 3645.12
 
 invested capital for Entry Name = 'St Name5' 
 Entry Price =    0.91 CurrentContracts =    5.00 BigPointValue = 1000.00
 invested capital for Entry Name = 4555.25

Invested Capital per entryname or signal?

Invested Capital per entryname or signal?

Re: Invested Capital per entryname or signal?

Re: Invested Capital per entryname or signal?

Re: Invested Capital per entryname or signal?